Andrew
LIM, Andrew Professor of Decision Sciences and Finance Department:  Analytics & Operations, Finance Office:  BIZ1 8-70 Contact:  (65) 6601 3141 Email:  andrewlim@nus.edu.sg Curriculum Vitae
Research
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Selected
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Academic
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    • Stochastic Models, Decision Making Under Uncertainty, Optimisation And Application
    • Journal Articles
      • Robust portfolio choice with learning in the framework of regret: Single period case, with Shanthikumar J. G. and Vahn G. Y. (2016), Management Science, 58(9), 1747-1760
      • Robust multi-armed bandit problems, with Kim M. J. (2015), Management Science, 264-285
      • Linear-quadratic control and information relaxations., with M. Haugh (2012), Operations Research Letters, 40(6), 521-528
      • Optimal investment and consumption when regime transitions cause price shocks, (2012), Insurance: Mathematics and Economics, 51(3), 551-566
      • Robust portfolio choice with learning in the framework of regret: Single period case., (2012), Management Science, 58(9), 1747-1760
      • Decentralized control of a stochastic multi-agent queueing system, (2012), IEEE Transactions on Automatic Control, 57(11), 2762-2777
      • Robust asset allocation with benchmarked objectives, with T. Watewai (2011), Mathematical Finance, 21(4), 643-679
      • Conditional value-at-risk in portfolio optimization: Coherent but fragile, with G.Y. Vahn and ANDREW EE BENG LIM (2011), Operations Research Letters, 39(3), 163-171
      • Optimal risk transfer for agents with germs, with P. Li (2010), Insurance: Mathematics and Economics, 47(1), 1-12
      • On the optimality of threshold control in queues with model uncertainty, with A. Jain (2010), Queueing Systems, 65(2), 157-174
      • A benchmarking approach to optimal asset allocation for insurers and pension funds, with B. Wong (2010), Insurance: Mathematics and Economics, 46(2), 317-327
      • Relative entropy, exponential utility, and robust dynamic pricing., (2007), Operations Research, 55(2), 198-214
      • Pricing American-style derivatives with European call options., with S.B. Laprise, M.C. Fu and S.I. Marcus (2006), Management Science, 52(1), 95-110
      • Model Uncertainty, Robust Optimization, and Learning, with J.G. Shanthikumar and Z.J. (Max) Shen (2006), TutORials in Operations Research, 3, 66-94
      • A new risk-sensitive maximum principle., with X.Y. Zhou (2005), IEEE Transactions on Automatic Control, 50(7), 947-958
      • Mean-variance hedging when there are jumps, (2005), Siam Journal on Control and Optimization, 44(5), 1893-1922
      • Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market, (2004), Mathematics of Operations Research, 29(1), 132-161
      • Multiple-objective risk-sensitive control and its small noise limit., with X.Y. Zhou (2003), Automatica, 39(3), 533-541
      • Mean-variance portfolio selection with random parameters in a complete market, with X.Y.Zhou (2002), Mathematics of Operations Research, 27(1), 101-120
      • Dynamic mean-variance portfolio selection with no-shorting constraints, with X. Li (2002), Siam Journal on Control and Optimization, 40(5), 1540-1555
      • Sensor scheduling in continuous time, with H.J.W. Lee (2001), Automatica, 37(12), 2017-2023
      • Risk-sensitive control with HARA utility, (2001), IEEE Transactions on Automatic Control, 46(4), 563- 578
      • Linear-quadratic control of backward stochastic differential equations, (2001), Siam Journal on Control and Optimization, 40(2), 450-474
      • Stochastic optimal LQR control with integral quadratic constraints and indefi nite control weights, (1999), IEEE Transactions on Automatic Control, 44(7), 1359-1369
      • Linear-quadratic optimal control with integral quadratic constraints, with Y.Q. Liu (1999), Optimal Control Applications and Methods, 20(2), 79-92
      • Discrete time LQG controls with control dependent noise, (1999), Systems & Control Letters, 36(3), 199-206
      • A path following algorithm for in finite quadratic programming on a Hilbert space, (1998), Discrete and Continuous Dynamical Systems, 4(4), 653-670
      • The state-space approach to the combined sensitivity and complementary sensitivity problem, (1997), Optimal Control Applications and Methods, 18(5), 363-370
      • A quasi-Separation theorem for LQG optimal control with integral quadratic constraints, (1997), Systems & Control Letters, 32, 21-33
      • Separation theorem for linearly constrained LQG optimal control, with J.B. Moore and L. Faybusovich (1996), Systems & Control Letters, 28, 227-235
      • The combined sensitivity and complementary sensitivity problem in control systems, (1996), IEEE Transactions on Automatic Control, 41(12), 1836-1840
      • The combined sensitivity and complementary sensitivity problem in control systems, with K.L. Teo and W.-Y. Yan (1996), IEEE Transactions on Automatic Control, 41(12), 1836-1840
    • PhD, Australian National University, Australia, 1998
    • Bachelor of Science (Honours 1), University of Western Australia, Australia, 1995
    • Professor, National University of Singapore, 2013 - current
    • Associate Professor, University of California (Berkeley), 2005 - current
    • Assistant Professor, University of California (Berkeley), 2002 - 2005
    • Assistant Professor, Columbia University, 2001 - 2002
    • Research Associate, University of Maryland, 2001
    • Postdoctoral Research Fellow, Columbia University, 2000 - 2001
    • Postdoctoral Research Fellow, Chinese University of Hong Kong, 1999 - 2000
    • Research Fellow, University of Melbourne, 1997 - 1998
    • Institute for Operations Research an Management Science (INFORMS)

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